我国证券市场信息不对称对投资者负面影响的理论和实证研究

发布时间：2018-01-05 16:08

本文关键词：我国证券市场信息不对称对投资者负面影响的理论和实证研究　出处：《西北大学》2012年硕士论文　论文类型：学位论文

【摘要】：在证券市场上,信息起着很重要的作用,信息不仅影响着各个上市公司的股票价格的波动,而且也深刻的影响着各个投资者的投资行为。由于我国的证券市场起步较晚,发展的时间也比较短,其中很多的规章制度都不健全,使得证券市场中的信息不对称问题比较严重。这种信息的不对称造成了市场中交易双方的利益失衡,影响了社会的公平,公正原则,市场资源的配置效率和市场功能的正常发挥。因此,本论文分别从理论推导和实证检验两个方面对于如何减弱我国证券市场中信息不对称的负面影响进行分析,得出了五种减弱信息不对称的方法,并提出了一些减弱我国证券市场信息不对称问题的对策建议。面对证券市场中信息不对称对投资者行为的负面影响,如何消弱这种负面影响成为我国证券市场健康发展的关键性问题。本论文就以如何减弱信息不对称问题作为研究的出发点,先采取理论推导的方法,说明了五种损耗性信号发送对于减弱信息不对称问题的作用,然后再采取实证分析的方法,搜集了我国A股市场上的965家上市公司的2004年-2006年这三年间的公司／年度观测值,通过对这些数据进行回归分析,得出了认证短期证券,分配股利,管理层持股和抵押担保这五种方法可以减弱我国证券市场上信息不对称对投资者的负面影响,其中,股利分配这种方法的效用最为明显。论文结构如下：第一章导论,介绍了研究背景,研究问题和意义以及研究的思路和方法。第二章文献综述,介绍了国内外的学者关于证券市场中的信息不对称对投资者行为影响的相关研究,以及如何减弱该种负面影响的相关研究。第三章减弱信息不对称对投资者影响的理论概述,运用数学模型对认证,短期证券,分配股利,管理层持股和抵押担保这五种信号发送如何减弱信息不对称的负面影响进行理论上的证明。第四章是减弱我国证券市场上信息不对称问题的实证检验,以我国证券市场上的上市公司为样本,建立多元回归模型对数据进行回归分析,检验这五种方法是否可以减弱我国证券市场上信息不对称的影响。第五章是减弱我国证券市场信息不对称负面影响的对策建议,虽然那五种信号发送可以消弱信息不对称的负面影响,但是这些效果要以完善的上市公司内控机制,健全的证券市场外部监管体系和法律法规上为基础,所以我国相关政府部门应着重关注这些外部环境的建设。本文的创新点在于,从投资者的角度来分析如何缓解证券市场上的信息不对称对投资者的负面影响,并通过建立数学模型来论证这五个信号发送是否可以帮助投资者辨别企业类型从而减弱信息不对称现象。随后,又以我国A股市场上的上市公司作为样本,对这五种方法是否也可以减弱我国证券市场上的信息不对称进行了实证检验,并关于这五种方法的有效性做了进一步的分析。
[Abstract]:In the stock market, information plays a very important role, information not only affects the stock price fluctuations of each listed company. But also has a profound impact on the investment behavior of various investors. Due to the late start of the securities market in China, the development time is also relatively short, and many of the rules and regulations are not sound. This kind of information asymmetry causes the imbalance of the interests of both parties in the market and affects the principle of social fairness and justice. The allocation efficiency of market resources and the normal exertion of market function. Therefore, this paper analyzes how to reduce the negative impact of information asymmetry in China's securities market from two aspects: theoretical derivation and empirical test. Five methods of reducing information asymmetry are obtained, and some countermeasures and suggestions are put forward to weaken the problem of information asymmetry in China's securities market. Facing the negative influence of information asymmetry on investors' behavior in the securities market. How to reduce this negative impact has become a key issue in the healthy development of China's securities market. This paper takes how to weaken the information asymmetry problem as the starting point of the study, and takes the theoretical derivation method as the first step. The effect of five kinds of lossy signal transmission on reducing the information asymmetry problem is explained, and then the empirical analysis method is adopted. This paper collects the company / annual observations of 965 listed companies from 2004 to 2006 in China's A-share market, and obtains the certified short-term securities by regression analysis of these data. The five methods of dividend allocation, management shareholding and mortgage guarantee can reduce the negative effects of asymmetric information on investors in China's securities market, among which, the effectiveness of dividend allocation is the most obvious. The structure of the thesis is as follows: the first chapter introduces the research background, research issues and significance, as well as the research ideas and methods. This paper introduces the domestic and foreign scholars on the impact of asymmetric information on the behavior of investors in the securities market. And how to reduce the negative impact of the relevant research. Chapter three is a theoretical overview of the impact of information asymmetry on investors, the use of mathematical models for certification, short-term securities, dividend distribution. Chapter 4th is an empirical test of how to reduce the negative effects of asymmetric information. Chapter 4th is an empirical test of how to reduce the information asymmetry in China's securities market. Taking listed companies in China's securities market as samples, a multivariate regression model is established to analyze the data. Chapter 5th is the countermeasure and suggestion to weaken the negative influence of information asymmetry in China's securities market. Although the five signals can weaken the negative impact of asymmetric information, these effects should be based on the perfect internal control mechanism of listed companies, a sound external regulatory system of the securities market and laws and regulations. Therefore, the relevant government departments should focus on the construction of these external environment. The innovation of this paper is to analyze how to alleviate the negative impact of information asymmetry on investors from the perspective of investors. And through the establishment of mathematical models to prove whether these five signals can help investors identify the types of enterprises and reduce the information asymmetry. Then, take listed companies in the A-share market as samples. This paper makes an empirical test on whether these five methods can also reduce the information asymmetry in China's securities market, and makes a further analysis on the effectiveness of these five methods.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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